What Is the “Order Book” and How Does It Reflect Market Depth?

The order book is an electronic list of all outstanding buy (bid) and sell (ask) limit orders for a financial instrument, organized by price level. It reflects market depth by showing the total quantity of contracts available at each price level away from the current market price.

A "deep" order book, with large quantities of orders at many price levels, indicates high liquidity and the market's ability to absorb large orders without significant price impact.